The Context Of The "double Crisis" An Empirical Analysis Of The Stock Market Linkage Effects

With the continuous development of the pattern of world economic integration, as well as information media communications technology continues to progress, the linkage between the world’s stock markets are constantly enhanced. which caused the constant attention of the world’s investors and academics. At present, most of the research for the developed countries in the world stock market linkage, the linkage between the emerging stock markets or stock markets in developed countries less. However, with the economic and capital market in China continues to open up and become more sophisticated as well as China’s status in the world economy continues to improve, the linkage between China and the world stock markets also show the major international stock market rise and fall the Chinese stock market will show a similar situation, the same time, China’s stock market to the emergence of new changes in the major international stock market will make some response. In the context of the financial crisis and the European debt crisis sweeping the globe, the linkage between the stock market in the United States, Germany and France for attention to the market risk of infection, safeguard national financial security important practical significance.This paper selects August1,2007to2008, as well as daily data from October1,2009to2011, an important event to the U.S. subprime mortgage crisis and the debt crisis in Europe is a critical point, respectively Shanghai Composite Index, the U.S. S&P500index, Germany’s DAX and France’s CAC40index daily yield established VAR model, impulse response, variance decomposition and Granger causality test empirical analysis results show that:(1) In this time of the outbreak of the U.S. subprime mortgage crisis，the U.S. stock market is the weathervane of the changes in the world’s stock markets, the Chinese stock market is weak the guiding role of the stock market in the United States. Germany and France.(2) In this time of a full-blown debt crisis in Europe, the U.S. stock market is still the weathervane of the changes in the world’s stock markets, the debt crisis spread, the contribution of the French stock market fluctuations on the virtues of stock market volatility, the Chinese stock market and the international stock market is still split.(3) This time a full-blown debt crisis in Europe, as opposed to the U.S. subprime mortgage crisis broke out this time, the French stock market fluctuations on the stock market volatility in countries significantly enhanced.The innovation of this paper is to:(1) select the United States, Germany, France, China and other major capital market analysis, to consider the linkage effects from multiple dimensions, so that the comparative analysis of the linkage effects of the stock market in different contexts.(2) in accordance with the sub-prime crisis and the debt crisis in Europe two events, select the study period from August2007to December2011, the plan for the two time periods to compare the linkage effects of the stock market in different contexts.(3) In this time of a full-blown debt crisis in Europe, this time relative to the U.S. subprime mortgage crisis broke out, the French stock market volatility on the national stock market volatility significantly strengthened, we start from this phenomenon, reasonable explain the reason.